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A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation. (English. French summary) Zbl 1409.62065

Summary: In this paper, we consider a Bayesian analysis of a change in the mean of independent Gaussian samples in the presence of a single outlier. An unconditional Bayesian significance test for testing change versus no change is performed under consideration of non informative prior distribution of the parameters. From a numerical study using the Gibbs sampler algorithm, the effect of a contaminated observation on the performance of the Bayesian significance test of change is studied.

MSC:

62F15 Bayesian inference
62F03 Parametric hypothesis testing
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Full Text: Euclid